Tag Archives: atr

A while back, we added reports into Tradervue that would show how trading performance related to the behavior of the underlying instrument, including its Average True Range (ATR). Today, we’ve added a new report related to these.

ATR represents the recent volatility in a trading instrument, in terms of the average daily range of movement in the instrument. The new report shows the True Range of the instrument on the trading day, divided by the ATR(14), expressed as a percentage:

This TR/ATR is a measure of relative volatility of an instrument; namely, did it move more or less today relative to its recent 14-day average range. The higher the percentage, the more the instruments true range on the day exceeded the ATR, and was thus more volatile than expected.

In the example above, we can see the trader’s P&L performance was dramatically better on days when the instrument he was trading was moving more than its ATR, and underperformed when the instrument was moving less.

The new reports are available immediately for all silver and gold users on the Reports View, Detailed tab, Instrument group. They are also available on the Win vs Loss Days and Compare tabs.

Wow…it’s been a great couple of weeks for analysis and reporting in Tradervue. On the heels of the new MFE/MAE calculations from last week, we’ve now added 8 new reports (16 if you also count the distribution charts) for analyzing performance based on what your stock or future was doing.

These are useful for everyone, but especially useful for equity traders, who may be trading a number of instruments based on news or order flow.

On the detailed reports tab (and also on the win vs. loss days and compare tabs), there is a new reports group called “Instrument”:

Click on that, and you’ll see the old performance by symbol reports at the top (these were previously in the Instrument/Price/Volume group), but then a bunch of new reports!

First, three reports based on instrument volume:

Distribution/Performance by Instrument volume – shows your performance plotted against the total volume traded on the day

Distribution/Performance by Instrument relative volume – shows your performance plotted against the relative volume traded on the day. Specifically, this is the volume with respect to the 50-day moving average of volume. Helps you understand your performance on days with unusually high volume, for example.

Distribution/Performance by Instrument Prior day relative volume – shows your performance plotted against the relative volume traded on the day before the trade. Specifically, this is the volume with respect to the 50-day moving average of volume. Helps you understand your performance on follow-through days, for example.

Then three reports based on the movement of the stock on the day you traded it:

Distribution/Performance by Instrument movement – shows your performance against the total move of the instrument on the day.

Distribution/Performance by Instrument opening gap – shows your performance against the opening gap of the instrument on the day. If you’re typically trading on news, and watching for large opening gaps, this can give you some insight into whether that’s working for you.

Distribution/Performance by Instrument day type – shows your performance plotted against the day type of the particular instrument you’re trading. Are you successfully capturing the move on days when your particular stock is trending? This will help you understand that.

And finally, two reports based on the Average True Range (ATR) of the instruments traded:

Distribution/Performance by Instrument ATR – shows your performance against the ATR(14) of the instruments traded.

Distribution/Performance by Entry % of ATR – shows your performance against how much of the ATR was already “used” on the day. For example, if you’re entering trades after they’ve already moved 2x their ATR, this will show you details about that.

In addition to all of that, the following statistics are now available in the Advanced reports for plotting on either axis:

Instrument volume

Instrument volume (% of 50ma)

Instrument prior-day volume (% of 50ma)

Instrument movement (%)

Instrument opening gap (%)

Instrument ATR(14)

Entry as % of ATR(14)

Whew! That’s a big update. The distribution/performance by instrument volume reports are available for all users, and the other new reports are available to all users with a silver or gold subscription. Give them a try today!